This thesis examines the operation of urban labour and housing markets. I bring new insights to old questions about migration, unemployment and homeownership. The first essay studies the impact of immigration on the wages of native-born workers. In standard competitive models, the effect comes entirely through changes in marginal products of different labour types. But, I argue that firms with monopsonistic power can exploit the lower reservation wages of recent migrants by cutting wages for natives and migrants alike. I present evidence from cross-city variation in local skill distributions, wages, and employment rates. The second essay looks at why higher skilled workers are more likely to migrate long distances within a country. It is commonly argued that they face comparatively low migration costs. But, US survey evidence on reported reasons for moving suggests this explanation is at best incomplete. I argue that high skilled workers are relatively mobile, more fundamentally, because of larger potential gains from a successful job match. The third essay documents descriptive facts on regional unemployment differentials. In the UK, unemployment has remained persistently high in less productive cities since the 1980s. But, there is no such relationship in the US: local populations adjust quickly to meet local demand. I speculate that relatively generous out-of-work benefits in the UK may allow unemployed workers to remain in poor-performing cities, while low local housing costs discourage them from searching elsewhere. The final (co-authored) essay focuses on the determinants of homeownership. It is commonly argued that households bring forward their home purchase because of uncertainty over future house price fluctuations. But, using a life cycle model, we argue that households are more likely to respond to price risk by increasing their liquid savings. We present supporting evidence from cross-city variation in ownership rates and loan-to-value ratios.